Day end returns - stock price manipulation

Karl Felixson, Anders Pelli

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

44 Citeringar (Scopus)


In this paper, we examine if closing prices are manipulated. Earlier research has shown that closing prices are one of the most used benchmarks against which trader performance is evaluated. If a trader takes a big net position a given day, it is likely that he wants to enhance his performance by manipulating the closing price. We build a simple regression model to test for closing price manipulation in the Finnish stock market. Robustness checks were made for the effect of: size of the net position, differences in returns across firms, different size of net position for different firms, block trades and spread trades. The results before close, for the base case, were in line with our hypothesis. However, the robustness checks showed that block trades and spread trades explained a part, but not all, of our results. The results after close were generally weak, but tilted towards our hypothesis.
Referentgranskad vetenskaplig tidskriftJournal of Multinational Financial Management
Sidor (från-till)95-127
Antal sidor33
StatusPublicerad - 21.05.1999
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift


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